/Engine/Source/Runtime/Core/Public/MemPro/MemPro.h
You don't need to call this directly, it is automatically called on the first allocation. Only call this function if you want to be able to connect to your app before it has allocated any memory. If wait_for_connect is true this function will block until the external MemPro app has connected, this is useful to make sure that every single allocation is being tracked.
namespace MemPro { void MemPro::Initialise ( bool wait_for_connect ) }